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Real Estate Securities (Tables)

12 Months Ended

Dec. 31, 2021

Investments, Debt and Equity Securities [Abstract]

Fair Values of Real Estate Securities by Collateral Type and Entity

The following table presents the fair values of our real estate securities by type at December 31, 2021 and 2020.

Table 9.1 – Fair Values of Real Estate Securities by Type

(In Thousands)						December 31, 2021						December 31, 2020
Trading						$	170,619					$	125,667
Available-for-sale						206,792						218,458
Total Real Estate Securities						$	377,411					$	344,125

Trading Securities by Collateral Type

The following table presents the fair value of trading securities by position and collateral type at December 31, 2021 and 2020.

Table 9.2 – Fair Value of Trading Securities by Position

(In Thousands)						December 31, 2021						December 31, 2020
Senior
Interest-only securities (1)						$	21,787					$	28,464
Total Senior						21,787						28,464
Mezzanine
Sequoia securities						—						3,649
Total Mezzanine						—						3,649
Subordinate
RPL securities						65,140						47,448
Multifamily securities						10,549						5,592
Other third-party residential securities						73,143						40,514
Total Subordinate						148,832						93,554
Total Trading Securities						$	170,619					$	125,667

(1)Includes $15 million and $13 million of Sequoia certificated mortgage servicing rights as of December 31, 2021 and 2020, respectively.

The following table presents the unpaid principal balance of trading securities by position and collateral type at December 31, 2021 and 2020.

Table 9.3 – Unpaid Principal Balance of Trading Securities by Position

(In Thousands)						December 31, 2021						December 31, 2020
Senior (1)						$	—					$	—
Mezzanine						—						3,577
Subordinate						235,306						242,278
Total Trading Securities						$	235,306					$	245,855

(1)Our senior trading securities are comprised of interest-only securities, for which there is no principal balance.

The following table provides the activity of trading securities during the years ended December 31, 2021 and 2020.

Table 9.4 – Trading Securities Activity

						Year Ended December 31,
(In Thousands)						2021						2020
Principal balance of securities acquired (1)						$	50,180					$	79,921
Principal balance of securities sold (1)						55,561						744,914
Net market valuation gains (losses) recorded (2)						23,583						(230,731)

(1)For the years ended December 31, 2021 and 2020, excludes $5 million and $11 million of securities bought and sold during the same quarter, respectively.

(2)Net market valuation gains (losses) on trading securities are recorded through Investment fair value changes, net and Mortgage banking activities, net on our consolidated statements of income (loss).

Available for Sale Securities by Collateral Type

The following table presents the fair value of our available-for-sale securities by position and collateral type at December 31, 2021 and 2020.

Table 9.5 – Fair Value of Available-for-Sale Securities by Position

(In Thousands)						December 31, 2021						December 31, 2020
Mezzanine
Other third-party residential securities						$	—					$	2,014
Total Mezzanine						—						2,014
Subordinate
Sequoia securities						127,542						136,475
Multifamily securities						22,166						43,663
Other third-party residential securities						57,084						36,306
Total Subordinate						206,792						216,444
Total AFS Securities						$	206,792					$	218,458

The following table provides the activity of available-for-sale securities during the years ended December 31, 2021 and 2020.

Table 9.6 – Available-for-Sale Securities Activity

						Year Ended December 31,
(In Thousands)						2021						2020
Fair value of securities acquired (1)						$	19,100					$	57,652
Fair value of securities sold (1)						4,785						55,192
Principal balance of securities called						27,875						7

(1)For the the years ended December 31, 2021 and 2020, excludes $6 million and $0.5 million of securities bought and sold during the same quarter, respectively.

Components of Carrying Value (Which Equals Fair Value) of Residential Available for Sale Securities

The following table presents the components of carrying value (which equals fair value) of AFS securities at December 31, 2021 and 2020.

Table 9.7 – Carrying Value of AFS Securities

December 31, 2021
(In Thousands)						Mezzanine						Subordinate						Total
Principal balance						$	—					$	242,852					$	242,852
Credit reserve						—						(27,555)						(27,555)
Unamortized discount, net						—						(76,023)						(76,023)
Amortized cost						—						139,274						139,274
Gross unrealized gains						—						67,815						67,815
Gross unrealized losses						—						(297)						(297)
CECL credit allowance						—						—						—
Carrying Value						$	—					$	206,792					$	206,792

December 31, 2020
(In Thousands)						Mezzanine						Subordinate						Total
Principal balance						$	2,000					$	281,284					$	283,284
Credit reserve						—						(44,967)						(44,967)
Unamortized discount, net						—						(95,718)						(95,718)
Amortized cost						2,000						140,599						142,599
Gross unrealized gains						14						77,280						77,294
Gross unrealized losses						—						(1,047)						(1,047)
CECL credit allowance						—						(388)						(388)
Carrying Value						$	2,014					$	216,444					$	218,458

Changes of Unamortized Discount and Designated Credit Reserves on Residential Available for Sale Securities

The following table presents the changes for the years ended December 31, 2021 and 2020, in unamortized discount and designated credit reserves on residential AFS securities.

Table 9.8 – Changes in Unamortized Discount and Designated Credit Reserves on AFS Securities

						Year Ended December 31, 2021												Year Ended December 31, 2020
						Credit Reserve						Unamortized Discount, Net						Credit Reserve						Unamortized Discount, Net
(In Thousands)
Beginning balance						$	44,967					$	95,718					$	32,940					$	124,255
Amortization of net discount						—						(23,254)						—						(6,538)
Realized credit losses						(707)						—						(2,282)						—
Acquisitions						2,825						1,208						7,248						2,634
Sales, calls, other						(1,328)						(15,851)						(731)						(16,841)
Impairments						—						—						—						—
Transfers to (release of) credit reserves, net						(18,202)						18,202						7,792						(7,792)
Ending Balance						$	27,555					$	76,023					$	44,967					$	95,718

Components of Carrying Value of Available for Sale Securities in Unrealized Loss Position

The following table presents the components comprising the total carrying value of residential AFS securities that were in a gross unrealized loss position at December 31, 2021 and 2020.

Table 9.9 – Components of Fair Value of AFS Securities by Holding Periods

						Less Than 12 Consecutive Months																		12 Consecutive Months or Longer
						Amortized Cost						Unrealized Losses						Fair Value						Amortized Cost						Unrealized Losses						Fair Value
(In Thousands)
December 31, 2021						$	7,078					$	(251)					$	6,827					$	1,600					$	(46)					$	1,554
December 31, 2020						9,129						(1,047)						7,920						—						—						—

Debt Securities, Available-for-sale, Allowance for Credit Loss

The following table details the activity related to the allowance for credit losses for AFS securities held at December 31, 2021.

Table 9.10 – Rollforward of Allowance for Credit Losses

						Year Ended						Year Ended
(In Thousands)						December 31, 2021						December 31, 2020
Beginning balance allowance for credit losses						$	388					$	—
Transition impact from adoption of ASU 2016-13, "Financial Instruments - Credit Losses"						—						—
Additions to allowance for credit losses on securities for which credit losses were not previously recorded						—						1,864
Additional increases or decreases to the allowance for credit losses on securities that had an allowance recorded in a previous period						(388)						(1,476)
Allowance on purchased financial assets with credit deterioration						—						—
Reduction to allowance for securities sold during the period						—						—
Reduction to allowance for securities we intend to sell or more likely than not will be required to sell						—						—
Write-offs charged against allowance						—						—
Recoveries of amounts previously written off						—						—
Ending balance of allowance for credit losses						$	—					$	388

Gross Realized Gains and Losses on Sales and Calls of Available for Sale Securities

The following table presents the gross realized gains and losses on sales and calls of AFS securities for the years ended December 31, 2021, 2020, and 2019.

Table 9.11 – Gross Realized Gains and Losses on AFS Securities

						Years Ended December 31,
(In Thousands)						2021						2020						2019
Gross realized gains - sales						$	1,540					$	8,779					$	17,582
Gross realized gains - calls						15,553						5						6,239
Gross realized losses - sales						—						(4,144)						—
Total Realized Gains on Sales and Calls of AFS Securities, net						$	17,093					$	4,640					$	23,821

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